Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
type: Item
instance of: scholarly article
title: Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
zbMATH Open document ID: 1452.62746
author: Tim Bollerslev
author: Andrew J. Patton
author: Rogier Quaedvlieg
published in: Journal of Econometrics
publication date: 2018-10-12T00:00:00Z
full work available at URL: rp16 10.pdf
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6952483
zbMATH Keywords: common risks
zbMATH Keywords: realized covariances
zbMATH Keywords: forecasting
zbMATH Keywords: asset allocation
zbMATH Keywords: portfolio construction
MaRDI profile type: Publication
OpenAlex ID: W3125436869
cites work: High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
cites work: Modeling and Forecasting Realized Volatility
cites work: Realized Beta: Persistence and Predictability
cites work: A reduced form framework for modeling volatility of speculative prices based on realized variation measures
cites work: Jump-robust volatility estimation using nearest neighbor truncation
cites work: Using High-Frequency Data in Dynamic Portfolio Choice
cites work: Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
cites work: Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
cites work: Exploiting the errors: a simple approach for improved volatility forecasting
cites work: Sparse and stable Markowitz portfolios
cites work: Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
cites work: A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
cites work: Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
cites work: Continuous Record Asymptotics for Rolling Sample Variance Estimators
cites work: The conditional autoregressive Wishart model for multivariate stock market volatility
cites work: Bootstrapping Realized Volatility
cites work: The Model Confidence Set
cites work: Estimating Vector Autoregressions with Panel Data
cites work: MEASUREMENT ERRORS IN DYNAMIC MODELS
cites work: On loss functions and ranking forecasting performances of multivariate volatility models
cites work: A computationally efficient feasible sequential quadratic programming algorithm
cites work: A well-conditioned estimator for large-dimensional covariance matrices
cites work: A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
cites work: High-dimensional copula-based distributions with mixed frequency data
cites work: Econometric Issues in the Analysis of Regressions with Generated Regressors
cites work: Volatility forecast comparison using imperfect volatility proxies
cites work: The Stationary Bootstrap
cites work: Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
cites work: Integrated variance forecasting: model based vs. reduced form
cites work: Measurement Error in Linear Autoregressive Models
cites work: A Reality Check for Data Snooping
Wikidata QID: Q129473452
DOI: 10.1016/J.JECONOM.2018.05.004
description: scientific article; zbMATH DE number 6952483